This might be more well suited to /r/askphilosophy, but as a flaired user there I'll venture to give a short answer here.
The historical answer to this question is twofold, centring first around Nietzsche's upbringing and secondly his distaste for Germany (esp. with regards to the German nationalism of his time). In the first dimension, Nietzsche was famously raised in a particularly pious environment, his father a Lutheran Pastor, who died very young when our young Freddy was still 4 years old. His break with Christianity in his youth was interpreted by him as a great liberation from this tyrannical setting, for "even as a child", he writes that he was "too curious, too incredulous, too supercilious to put up with a rude and crude answer" (that is, Christianity/God), E.H. Why I Am So Clever I.
Secondly, Nietzsche was contemporaneous with a German nationalistic revival that started with Bismarck, and had a firm aversion towards the entire enterprise-- styling himself constantly as a "European" rather than a German, and hurling (often tongue-in-cheek) insults towards Germans and Germany. Part of his break with Wagner can be attributed to this, and in The Case of Wagner he claims (ironically) to prefer the French composer Bizet to the nationalistic Wagner, when the depreciation of French music (and the promotion of German music) was in vogue at the time. The meaning of his attack on Germany is found in The Gay Science (Aph. 377): " the word "German" is constantly being used nowadays, to advocate nationalism and race hatred and to be able to take pleasure in the national scabies of the heart and blood poisoning that now leads the nations of Europe to delimit and barricade themselves against each other as if it were a matter of quarantine..." To return this back to the question, we must not forget that Bismarck, and the rulers of Prussia (now the rulers of Germany, e.g. his namesake Friedrich Wilhelm IV of Prussia, who was succeeded by the Lutheran first Emperor of Germany William I), was Lutheran, and so it was only natural for him to associate the two together.
His philosophical dislike of Protestantism does not belong so much in this forum, but can be largely and summarily attributed to his philosophical project against ressentiment and life-denial, which found a strong foothold in the pietist, rigoristic, and dualistic strands of his contemporary Protestantism. Furthermore, his campaign against the straightjacket of morality found no better target than the firmly conscientious, often puritanical, ethics of Lutheranism, or even more broadly those of mainline continental Protestantism.
Sources:
Nietzsche, esp. Ecce Homo; Case of Wagner; Genealogy of Morals; The Will to Power
Walter Kaufmann's Nietzsche